ABOUT BOOK

Stock market indices from several countries are modelled as discretely sampled diffusions whose parameters change at certain times. To estimate these times of parameter changes we employ both a sequential likelihood-ratio test and a non-parametric, spectral algorithm designed specifically for time series with multiple changepoints. Finally, we use point-process techniques to model relationships between changepoints of different financial time series. Copyright © 2006 John Wiley & Sons, Ltd.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/55814/1/653_ftp.pd